Thornburg Intermediate
Municipal Fund
Thornburg Thornburg Thornburg
Intermediate Intermediate Intermediate
Municipal Fund Municipal Fund Municipal Fund
A Shares C Shares I Shares
SEC Yield 4.62% 4.37% 5.12%
Taxable Equiv. Yields 7.65% 7.24% 8.48%
NAV $13.17 $13.19 $13.15
Max. Offering Price $13.65 $13.19 $13.15
1 Year 1.52% 4.80% NA
5 Year 6.39% NA NA
Since Inception 6.63% 5.66% 5.26%*
(Inception Date) (7/22/91) (9/1/94) (7/5/96)
*Not annualized.
Taxable equivalent yields assume a 39.6% marginal federal tax rate.
The investment return and principal value of an investment in the fund will
fluctuate so that, when redeemed, an investor's shares may be worth more or
less than their original cost.
Maximum sales charge of the Fund's Class A Shares is 3.50%.
The data quoted represent past performance and may not be
construed as a guarantee of future results.
l e t t e r t o s h a r e h o l d e r s
Dear Fellow Shareholder:
I am pleased to present the Semi-Annual Report for the National Portfolio of
Thornburg Intermediate Municipal Fund for the period ending March 31, 1997. This
was a period of sharply fluctuating interest rates. The bond bulls insist that a
tepid U.S. economy is on the brink of weakness. The bond bears counter that our
current economic vigor will persist for the foreseeable future. If you were with
us for the entire period, you received dividends of 33.5 cents per share. If you
reinvested your dividends, you received 33.8 cents per share. Investors who
owned C Shares received dividends of 30.9 and 31.2 cents per share,
respectively. Investors who owned I shares received dividends of 35.5 and 35.9
cents per share, respectively.
Your Thornburg Intermediate Municipal Fund portfolio currently holds over 250
municipal obligations from 44 states and 2 U.S. Territories. Approximately 76%
of the bonds are rated A or better by one of the major rating agencies. As you
know, we "ladder" the maturities of the bonds in your portfolio so that some
bonds are scheduled to mature at par during each of the coming years. Today,
your fund's weighted average maturity is approximately 7 years, and we always
keep it below 10 years. Percentages of the portfolio maturing in the coming
years are summarized below:
% of portfolio maturing within Cumulative % maturing by end of
2 years = 10% year 2= 10%
2 to 4 years = 10% year 4= 20%
4 to 6 years = 14% year 6= 34%
6 to 8 years = 26% year 8= 60%
8 to 10 years = 20% year 10= 80%
10 to 12 years = 13% year 12= 93%
12 to 14 years = 5% year 14= 98%
14 to 16 years = 1% year 16= 99%
Over the years, our practice of laddering a diversified portfolio of short and
intermediate maturity municipal bonds has allowed your fund to perform well in
varying interest rate environments. For instance, the A shares of Intermediate
Municipal Fund continued to receive "A" letter grades for one, three, and five
year performance relative to other intermediate maturity municipal bond funds
through March 31, 1997.* These rankings, which were published in The Wall Street
Journal, reflect total returns in the top 20% of all short term municipal bond
funds for those periods. Your fund has also earned Morningstar's coveted 5 star
overall rating.**
Strong forces are acting in opposite ways on U.S. interest rates at this time.
The U.S. economy is generally firm and the economies of many developing
countries are growing as well. Americans have been net sellers of individual
municipal and U.S. government bonds, preferring instead to pour money into
stocks, money market funds and, recently, emerging market debt funds. By
themselves, these forces should put upward pressure on our interest rates.
However, most other developed countries have sluggish economies, much lower
interest
*Source: The Wall Street Journal, April 4, 1997. Performance data are supplied
by Lipper Analytical Services, Inc., and reflect performance for the 1, 3, and 5
year periods ending March 31, 1997. An "A" ranking reflects total returns in the
top 20% of all funds within the short term municipal objective, as defined by
The Wall Street Journal. The average maturity and average quality of the funds
within the short municipal objective may differ. At March 31, 1997, 75, 66, and
31 intermediate municipal funds reported 1-year, 3-year, and 5-year total
returns, respectively. Performance calculations used to obtain these rankings
assume deduction of all expenses and reinvestment of all distributions, but do
not include the effect of any sales charge on total return. A portion of the
Fund's income may be subject to the federal alternative minimum tax.
l e t t e r t o s h a r e h o l d e r s (continued)
rates than ours, and currencies that have been depreciating relative to the
U.S. dollar. As a result, foreign money has been pouring into the U.S. bond
market, lifting bond prices and lowering yields from the levels that would
otherwise exist. In the last 2 years, foreign purchases of U.S. Treasury bonds
have accounted for more than 100% of the net issuance of Treasury bonds, up from
an average of approximately 20% between 1980-1994. The graph below illustrates
this trend, which may only now be subsiding. We have positioned your bond
portfolio conservatively so as to be able to react quickly to change and take
advantage of any opportunities that arise.
Many municipal bonds issued between 1985 and 1990 have been paid off this year.
Money to pay off other bonds prior to maturity already has been raised. You may
own municipal bonds or unit trusts which are being redeemed. Your investment in
Thornburg Intermediate Municipal Fund will not be redeemed until you sell it.
Please remember that you can easily add to your investment each month by
authorizing a simple, automatic transfer from your checking account.
Thank you for investing in Thornburg Intermediate Municipal Fund.
Sincerely,
Brian J. McMahon
Managing Director
s t a t e m e n t o f a s s e t s a n d l i a b i l i t i e s
Thornburg Intermediate Municipal Fund
March 31, 1997
(unaudited)
ASSETS
Investments, at value (cost $260,168,983) $270,351,499
Cash 21,461
Interest receivable 4,695,369
Receivable for fund shares sold 625,829
Prepaid expenses and other assets 110,088
TOTAL ASSETS 275,804,246
LIABILITIES
Payable for investments purchased 2,447,989
Payable for fund shares redeemed 165,462
Accounts payable and accrued expenses 208,350
Payable to investment adviser 206,128
Dividends payable 421,437
TOTAL LIABILITIES 3,449,366
NET ASSETS $272,354,880
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price per share
($259,269,395 applicable to 19,686,811 shares of beneficial interest
outstanding) $13.17
Maximum sales charge, 3.50% of offering .48
price (3.63% of net asset value per share)
Maximum Offering Price Per Share $13.65
Class C Shares:
Net asset value and offering price per share *
($9,547,810 applicable to 724,056 shares of beneficial interest
outstanding) $13.19
Class I Shares:
Net asset value, offering and redemption price per share
($3,537,675 applicable to 268,952 shares of beneficial interest
outstanding) $13.15
* Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge.
See notes to financial statements.
s t a t e m e n t o f o p e r a t i o n s
Thornburg Intermediate Municipal Fund
Six Months ended March 31, 1997
(unaudited)
INVESTMENT INCOME
Interest income (net of premium amortized $ 7,936,285
of $289,486)
EXPENSES
Investment advisory fees (Note 3) 655,323
Administration fees (Note 3)
Class A Shares 157,782
Class C Shares 5,160
Class I Shares 356
Distribution and service fees (Note 3)
Class A Shares 307,086
Class C Shares 24,766
Custodian fees 98,110
Transfer agent fees 87,638
Registration and filing fees 30,766
Professional fees 22,422
Accounting fees 13,840
Other expenses 14,678
TOTAL EXPENSES 1,417,927
Less:
Expenses deferred by investment adviser (Note 3) (92,976)
NET EXPENSES 1,324,951
NET INVESTMENT INCOME 6,611,334
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (NOTE 5)
Net realized gain on investments sold 6,848
Decrease in unrealized appreciation of investments (1,242,167)
NET REALIZED AND UNREALIZED
LOSS ON INVESTMENTS (1,235,319)
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 5,376,015
See notes to financial statements.
s t a t e m e n t s o f c h a n g e s i n n e t a s s e t s
Thornburg Intermediate Municipal Fund
(unaudited)
Six Months Ended Year Ended
March 31, 1997 September 30, 1996
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS:
Net investment income $ 6,611,334 $ 12,485,845
Net realized gain (loss) on investments sold 6,848 (192,091)
Increase (Decrease) in unrealized
appreciation of investments (1,242,167) 864,925
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 5,376,015 13,158,679
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares (6,380,927) (12,209,780)
Class C Shares (192,230) (269,786)
Class I Shares (38,177) (6,279)
FUND SHARE TRANSACTIONS - (Note 4)
Class A Shares 14,291,088 17,593,230
Class C Shares 2,010,160 3,572,380
Class I Shares 2,887,082 681,348
NET INCREASE IN NET ASSETS 17,953,011 22,519,792
NET ASSETS:
Beginning of period 254,401,869 231,882,077
End of period $ 272,354,880 $ 254,401,869
See notes to financial statements.
Note 2 - SIGNIFICANT ACCOUNTING POLICIES (continued)
Thornburg Intermediate Municipal Fund
Note 1 - ORGANIZATION
Thornburg Intermediate Municipal Fund (the "Fund"), is a series of Thornburg
Investment Trust (the "Trust", formerly known as Thornburg Income Trust). The
Trust is organized as a Massachusetts business trust under a Declaration of
Trust dated June 3, 1987 and is registered as a diversified, open-end management
investment company under the Investment Company Act of 1940, as amended. The
Trust is currently issuing five series of shares of beneficial interest in
addition to those of the Fund: Thornburg Florida Intermediate Municipal Fund,
Thornburg New Mexico Intermediate Municipal Fund, Thornburg Limited Term U.S.
Government Fund, Thornburg Limited Term Income Fund and Thornburg Value Fund.
Each series is considered to be a separate entity for financial reporting and
tax purposes. The Fund's investment objective is to obtain as high a level of
current income exempt from Federal income taxes as is consistent with the
preservation of capital.
The Fund currently offers three classes of shares of beneficial interest, Class
A, Class C and Institutional Class (Class I) shares. The Fund no longer offers
Class B shares. Each class of shares of a Fund represents an interest in the
same portfolio of investments of the Fund, except that (i) Class A shares are
sold subject to a front-end sales charge collected at the time the shares are
purchased and bear a service fee, (ii) Class B shares were sold at net asset
value without a sales charge at the time of purchase, but were subject to a
contingent deferred sales charge upon redemption, and bore both a service fee
and a distribution fee, (iii) Class C shares are sold at net asset value without
a sales charge at the time of purchase, but are subject to a service fee and a
distribution fee, (iv) Class I shares are sold at net asset value without a
sales charge at the time of purchase, and (v) the respective classes have
different reinvestment privileges. Additionally, each Fund may allocate among
its classes certain expenses, to the extent allowable to specific classes,
including transfer agent fees, government registration fees, certain printing
and postage costs, and administrative and legal expenses. Currently, class
specific expenses of the Fund are limited to distribution fees, administrative
fees and certain transfer agent expenses.
Note 2 - SIGNIFICANT ACCOUNTING POLICIES Significant accounting policies of the
Fund are as follows:
Valuation of Investments: In determining net asset value of the Fund, the Trust
utilizes an independent pricing service approved by the Trustees. Debt
investment securities have a primary market over the counter and are valued on
the basis of valuations furnished by the pricing service. The pricing service
values portfolio securities at quoted bid prices or the yield equivalents when
quotations are not readily available. Securities for which quotations are not
readily available are valued at fair value as determined by the pricing service
using methods which include consideration of yields or prices of municipal
obligations of comparable quality, type of issue, coupon, maturity, and rating;
indications as to value from dealers and general market conditions. The
valuation procedures used by the pricing service and the portfolio valuations
received by the Fund are reviewed by the officers of the Trust under the general
supervision of the Trustees. Short-term obligations having remaining maturities
of 60 days or less are valued at amortized cost, which approximates market
value.
Federal Income Taxes: It is the policy of the Trust to comply with the
provisions of the Internal Revenue Code applicable to "regulated investment
companies" and to distribute all of its taxable (if any) and tax exempt income
to its shareholders. Therefore no provision for Federal income tax is required.
Dividends paid by the Fund for the period ended March 31, 1997 represent exempt
interest dividends which are excludable by shareholders from gross income for
Federal income tax purposes. When-Issued and Delayed Delivery Transactions: The
Trust may engage in when-issued or delayed delivery transactions. To the extent
the Trust engages in such transactions, it will do so for the purpose of
acquiring portfolio securities consistent with its investment objectives and not
for the purpose of investment leverage or to speculate on interest rate changes.
At the time the Trust makes a commitment to purchase a security on a when-issued
basis, it will record the transaction and reflect the value in determining its
net asset value. When effecting such transactions, assets of the Fund of an
amount sufficient to make payment for the portfolio securities to be purchased
will be segregated on the Fund's records at the trade date. Securities purchased
on a when-issued or delayed delivery basis do not earn interest until the
settlement date.
Dividends: Net investment income of the Fund is declared daily as a dividend on
shares for which the Trust has received payment. Dividends are paid monthly and
are reinvested in additional shares of the Fund at net asset value per share at
the close of business on the dividend payment date, or at the shareholder's
option, paid in cash. Net capital gains, to the extent available, will be
distributed annually.
General: Securities transactions are accounted for on a trade date basis.
Interest income is accrued as earned. Premiums and original issue discounts on
securities purchased are amortized over the life of the respective securities.
Realized gains and losses from the sale of securities are recorded on an
identified cost basis. Use of Estimates: The preparation of financial
statements, in conformity with generally accepted accounting principles,
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and the disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates.
Note 3 - INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Management Company, Inc.
(the "Adviser") serves as the investment adviser and performs services for which
the fees are payable at the end of each month. For the six months ending March
31, 1997, these fees were payable at annual rates ranging from 1/2 of 1% to
11/40 of 1% of the average daily net assets of the Fund, also the Trust entered
into an Administrative Services Agreement with the Adviser, whereby the Adviser
will perform certain administrative services for the shareholders of each class
of the Fund's shares, and for which fees will be payable at an annual rate of up
to 1/8 of 1% of the average daily net assets attributable to each class of
shares.
In the event normal operating expenses of the Fund, exclusive of brokerage
commissions, taxes, interest, and extraordinary expenses, exceed the limits
prescribed by any state in which the Fund's shares are qualified for sale, the
Adviser will reimburse the Fund for such excess. No such reimbursement was
required as a result of this limitation. For the six months ended March 31,
1997, the Adviser voluntarily deferred certain operating expenses amounting to
$92,976. These expenses may be repaid to the Advisor by the Fund, however such
repayment will depend upon the overall level of the Fund's expenses for the
entire year ending September 30, 1997.
The Trust has an underwriting agreement with Thornburg Securities Corporation
(the "Distributor"), which acts as the Distributor of the Fund shares. For the
period ended March 31, 1997, the Distributor earned commissions aggregating
$41,205 from the sale of Class A shares and collected contingent deferred sales
charges aggregating $5,379 from redemptions of Class C shares of the Fund.
Pursuant to a Service Plan, under Rule 12b-1 of the Investment Company Act of
1940, the Trust may reimburse to the Adviser an amount not to exceed .25 of 1%
per annum of the Fund's average net assets for payments made by the Adviser to
securities dealers and other financial institutions to obtain various
shareholder related services. The Adviser may pay out of its own funds
additional expenses for distribution of the Fund's shares.
The Trust has also adopted a Distribution Plan pursuant to Rule 12b-1,
applicable only to the Fund's Class C shares under which the Trust compensates
the Distributor for services in promoting the sale of Class C shares of the Fund
at an annual rate of up to .75% of the average daily net assets attributable to
Class C shares. Total fees incurred by each class of shares of the Fund under
their respective Service and Distribution Plans for the six months ended March
31, 1997, are set forth in the statement of operations.
Certain officers and trustees of the Trust are also officers and/or directors
of the Adviser and Distributor. The compensation of unaffiliated directors
of the Trust is borne by the Trust.
Thornburg Intermediate Municipal Fund
Note 4 - SHARES OF BENEFICIAL INTEREST:
At March 31, 1997, there were an unlimited number of shares of beneficial
interest authorized, and capital paid-in aggregated $265,661,837.
Transactions in shares of beneficial interest were as follows:
Six Months Ended Year Ended
March 31, 1997 September 30, 1996
- ------------------------------------------------------
Class A Shares Shares Amount Shares Amount
Shares sold 2,132,755 $28,333,321 3,206,323 $42,461,497
Shares inssued to
shareholders
in reinvestment of
distributions 284,747 3,782,646 538,669 7,136,992
Shares repurchased
(1,340,900) (17,824,879) (2,423,428) (32,005,259)
Net Increase 1,076,602 $14,291,088 1,321,564 $17,593,230
Class C Shares
Shares sold 223,280 $2,967,866 352,952 $4,676,873
Shares issued to
shareholders
in reinvestment of
distributions 11,392 151,475 15,345 202,966
Shares repurchased
(83,434) (1,109,181) (98,650) (1,307,459)
Net Increase 151,238 $2,010,160 269,647 $3,572,380
Class I Shares *
Shares sold 610,893 $8,111,378 51,632 $675,632
Shares issued to shareholders
in reinvestment of
distributions 1,734 22,989 433 5,716
Shares repurchased (395,740) (5,247,285) -- --
Net Increase 216,887 $2,887,082 52,065 $681,348
* Sales of Class I shares commenced on July 5, 1996.
n o t e s t o f i n a n c i a l s t a t e m e n t s (continued)
Thornburg Intermediate Municipal Fund
Note 5 - SECURITIES TRANSACTIONS
For the six months ended March 31, 1997, the Fund had purchase and sale
transactions (excluding short-term securities) of $41,526,136 and $22,231,417,
respectively.
The cost of investments for Federal income tax purposes is the same. At March
31, 1997, net unrealized appreciation of investments was $10,182,516,
resulting from $10,815,261 gross unrealized appreciation and $632,745 gross
unrealized depreciation.
Accumulated net realized losses from securities transactions included in net
assets at March 31, 1997, aggregated $3,489,473.
For Federal income tax purposes the Fund has realized capital loss carryforwards
of $3,496,321 as of September 30, 1996 available to offset future realized
capital gains. To the extent that such carryforwards are used, no capital gains
distributions will be made. The carryforwards expire as follows: September 30,
2002 - $1,207,200, September 30, 2003 - $2,097,030, and September 30, 2004 -
$192,091.
f i n a n c i a l h i g h l i g h t s
<TABLE>
Thornburg Intermediate Municipal Fund
<CAPTION>
Per share operating performance
(for a share outstanding
throughout the period)
Six Months
Ended Year Ended September 30,
March 31, 1997 1996 1995 1994 1993 1992
<S> <C> <C> <C> <C> <C> <C>
Class of Shares: A A A A A A
--------------------------- -- - -
Net asset value, beginning of period $13.23 $13.18 $12.73 $13.47 $12.59 $12.11
Income from investment operations:
Net investment income
.33 .68 .68 .67 .71 .78
Net realized and unrealized
gain (loss) on investments (.06) .05 .45 (.72) .88 .48
Total from investment operations .27 .73 1.13 (.05) 1.59 1.26
Less dividends from:
Net investment income (.33) (.68) (.68) (.67) (.71) (.78)
Realized capital gains -- -- -- (.02) -- --
Change in net asset value (.06) .05 .45 (.74) .88 .48
Net asset value, end of period $13.17 $13.23 $13.18 $12.73 $13.47 $12.59
Total return (a) 2.08% 5.64% 9.16% (.38%) 13.01% 10.76%
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 5.05%(b) 5.12% 5.31% 5.23% 5.37% 6.15%
Expenses, after expense reductions 1.00%(b) 1.00% 1.00% .95% .70% .48%
Expenses, before expense reductions 1.05%(b) 1.09% 1.08% 1.05% 1.06% 1.19%
Portfolio turnover rate 8.61% 12.64% 32.20% 27.37% 14.29% 46.15%
Net assets
at end of period(000) $259,269 $246,128 $227,881 $207,718 $182,319 $81,428
<FN>
(a) Sales loads are not reflected in computing total return, which is not
annualized for periods less than one year.
(b) Annualized
</FN>
</TABLE>
f i n a n c i a l h i g h l i g h t s (continued)
<TABLE>
Thornburg Intermediate Municipal Fund
<CAPTION>
Per share operating performance
(for a share outstanding
throughout the period) Period from
Six Months September 1, (a)
Ended Year Ended September 30, to September 30,
March 31, 1997 1996 1995 1994
<S> <C> <C> <C> <C>
Class of Shares: C C C C
Net asset value, beginning of period $13.24 $13.20 $12.73 $12.91
Income from investment operations:
Net investment income .31 .63 .60 .05
Net realized and unrealized
gain (loss) on investments (.05) .04 .47 (.18)
Total from investment operations .26 .67 1.07 (.13)
Less distributions from:
Net investment income (.31) (.63) (.60) (.05)
Change in net asset value (.05) .04 .47 (.18)
Net asset value, end of period $13.19 $13.24 $13.20 $12.73
Total return (b) 1.96% 5.14% 8.60% (.97%)
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 4.65%(c) 4.73% 4.62% 4.51%(c)
Expenses, after expense reductions 1.40%(c) 1.40% 1.66% 1.76%(c)
Expenses, before expense reductions 1.64%(c) 1.97% 2.35% 1.76%(c)
Portfolio turnover rate 8.61% 12.64% 32.20% 27.37%
Net assets at end of period (000) $9,548 $7,586 $4,001 $139
<FN>
(a) Commencement of operations.
(b) Sales loads are not reflected in computing total return, which is not annualized for periods less than one year.
(c) Annualized.
</FN>
</TABLE>
f i n a n c i a l h i g h l i g h t s (continued)
<TABLE>
Thornburg Intermediate Municipal Fund
<CAPTION>
Per share operating performance
(for a share outstanding
throughout the period) Period from
Six Months September 1, (a)
Ended Year Ended September 30, to September 30,
March 31, 1997 1996 1995 1994
<S> <C> <C> <C> <C>
Class of Shares: I I** B* B
Net asset value, beginning of period $13.23 $13.00 $12.73 $12.91
Income from investment operations:
Net investment income .36 .17 .59 .05
Net realized and unrealized
gain (loss) on investments (.08) .23 .40 (.18)
Total from investment operations .28 .40 .99 (.13)
Less distributions from:
Net investment income (.36) (.17) (.59) (.05)
Change in net asset value (.08) .23 .40 (.18)
Net asset value, end of period $13.15 $13.23 $13.13 $12.73
Total return (b) 2.08% 3.11% 8.30% (.99%)
Ratios/Supplemental Data Ratios to average net assets:
Net investment income 5.36%(c) 5.49%(c) 4.59% 4.57%(c)
Expenses, after expense reductions .69%(c) .70%(c) 1.65% 1.70%(c)
Expenses, before expense reductions 2.71%(c) 6.10%(c) 2.86% 1.70%(c)
Portfolio turnover rate 8.61% 12.64% 32.20% 27.37%
Net assets at end of period (000) $3,538 $689 $0 $342
<FN>
(a) Commencement of operations.
(b) Sales loads are not reflected in computing total return, which is not annualized for periods less than one year.
(c) Annualized.
* On September 28,1995, all Class B shares were converted into Class A shares.
** Sales of Class I shares commenced on July 5, 1996.
</FN>
</TABLE>
<TABLE>
s c h e d u l e o f i n v e s t m e n t s (continued)
<CAPTION>
Thornburg Intermediate Municipal Fund
<S> <C> <C> <C>
Principal ............................................................................. Credit Rating
Amount
Issuer-Description .................................................................... Moody's/S&P Value
1,310,000 San Marcos Public Facilities Authority Revenue Custom Receipts, 0% due 1/1/98
(Escrowed to maturity) ................................................................ Aaa/AAA 1,269,377
1,310,000 San Marcos Public Facilities Authority Revenue Custom Receipts, 0% due 7/1/99
(Escrowed to maturity) ................................................................ Aaa/AAA 1,178,948
700,000 Sulphur Springs School District General Obligation Series B, 5.60% due 3/1/04 ......... A/NR 728,007
800,000 Sulphur Springs School District General Obligation Series B, 5.70% due 3/1/05 ......... A/NR 834,296
450,000 Sunline Transit Agency Certificate of Participation Series A, 5.625% due 7/1/04 ....... A/NR 455,697
215,000 Sunline Transit Agency Certificate of Participation Series A, 5.75% due 7/1/05 ........ A/NR 226,963
Colorado (3.0%)
350,000 Colorado Student Obligation Auth. Revenue Series B, 6.55% due 12/1/02 ................. A/NR 367,997
995,000 Colorado Student Obligation Auth. Student Loan Revenue Series B, 5.90% due 9/1/02 ..... A/NR 1,016,641
2,830,000 Larimer County, 8.45% due 12/15/05 (Poudre School District R1 Project) ................ A/NR 3,461,967
2,500,000 Mesa Valley School District Certificate of Participation Series B, 6.875% due 12/1/05
(Insured: FSA) 2,700,675
435,000 Thornton Single Family Mortgage Revenue Series 1992-A, 8.05% due 8/1/09 ............... A/NR 462,683
Connecticut (1.7%)
3,000,000 Bristol Resource Recovery Facility Operating Committee - Solid Waste Revenue
Refunding Series 1995, 6.125% due 7/1/03 (Ogden Martin at Bristol Project) ............ A/NR 3,146,160
200,000 Connecticut State Housing Revenue Series 1990-B1, 7.55% due 11/15/08
(FHA/VA/ Private Mortgage Insurance) .................................................. Aa/AA 200,064
160,000 New Britain Senior Citizen Housing Development Mortgage Revenue Refunding
Series A, 6.50% due 7/1/02 (Nathan Hale Apartments Project; Insured: FHA) ............. NR/AAA 165,720
500,000 Stratford General Obligation Series 1992, 7.15% pre-refunded 3/1/01 @ 102 ............. NR/A- 549,475
500,000 Stratford General Obligation Series 1992, 7.20% pre-refunded 3/1/01 @ 102 ............. NR/A- 550,320
Delaware (1.3%)
3,235,000 Delaware Transportation Authority System Revenue, 6.25% due 7/1/04 .................... A1/AA 3,438,967
District of C (1.5%)
1,000,000 District of Columbia General Obligation Series A, 5.75% due 6/1/03 .................... Ba/B 1,001,450
1,000,000 District of Columbia Certificate of Participation Series 1993, 7.30% due 1/1/13 ....... NR/B- 1,042,410
195,000 District of Columbia Housing Finance Agency Mortgage Revenue Refunding
Series 1992-D, 6.00% due 7/1/02 (Insured: MBIA) ....................................... Aaa/AAA 199,968
300,000 District of Columbia Revenue, 0% due 2/15/02 (Assoc. of American Medical Colleges) .... NR/AA- 214,959
195,000 District of Columbia Revenue, 0% due 2/15/04 (Assoc. of American Medical Colleges) .... NR/AA- 121,450
1,375,000 District of Columbia Revenue American University, 5.25% due 10/1/04
(Insured AMBAC) ....................................................................... Aaa/AAA 1,384,309
Florida (2.7%)
250,000 Cape Coral Special Assessment Water Improvement, 6.50% due 7/1/98 (Insured: MBIA) ..... Aaa/AAA 256,725
240,000 Dade County Educational Facilities Revenue, 7.65% pre-refunded 4/1/00
(University of Miami Project; Insured: MBIA) .......................................... Aaa/AAA 264,840
100,000 Dade County School Board COP Series A, 5.20% due 5/1/02 ............................... Aaa/AAA 101,421
1,100,000 Duval County H.F.A. Multi Family Housing Revenue Series 1996,
5.35% due 9/1/06 (St. Augustine Apartments Project) ................................... NR/A 1,089,539
160,000 Duval County HFA Series 94, 6.10% due 4/1/06 (GNMA guaranteed) ........................ Aaa/AAA 162,054
160,000 Duval County HFA Series 94, 6.10% due 10/1/06 (GNMA guaranteed) ....................... Aaa/AAA 162,139
250,000 Florida Housing Finance Agency Multifamily Housing Revenue Series 1995-D,
5.10% due 4/1/13, put 4/1/02 (Park Colony Project; LOC: Mellon Bank) .................. A+/A1 252,005
1,000,000 Florida Housing Finance Agency Multifamily Housing Revenue Series 1983-G,
5.35% due 12/1/05, mandatory put 6/1/00 (Insured: Connecticut General) ................ Aaa/AAA 1,011,740
300,000 Florida State Board of Education Series C, 6.00% due 5/1/07 ........................... AAA/AAA 320,577
320,000 Jacksonville Health Facilities Authority IDR, 7.55% due 12/1/07
(National Benevolent Association Project) ............................................. Baa1/BBB+ 352,346
100,000 Lee County Hospital Board Director's Revenue Series A, 5.70% due 4/1/01
(Lee Memorial Hospital Project; Insured: MBIA) ........................................ Aaa/AAA 103,498
1,200,000 Orange County HSG Finance Authority, 3.65% due 12/1/10, put 4/7/97
weekly demand note (LOC; Continental Casualty) ........................................ NR/A+ 1,200,000
150,000 Osceola County Health Facilities Revenue Series 1994, 5.75% due 5/1/04
(Evangelical Lutheran Good Samaritan Project; Insured: AMBAC) ......................... Aaa/AAA 156,000
1,400,000 Pinellas County Health Facilities Authority Series 1994-A, 5.75% due 8/1/01
(Multi County Project; GNMA/FNMA guaranteed) .......................................... Aaa/NR 1,424,640
325,000 Seminole County School Board Certificate of Participation, 5.35% due 7/1/02
(Insured; MBIA) ....................................................................... Aaa/AAA 333,336
Georgia (0.2%)
105,000 Hinesville Leased Housing Corp. Rev., 6.05% due 1/15/98 (Regency Park Project) ........ NR/BBB 105,349
500,000 Savannah Resource Recovery, 5.85% due 12/1/01 (Savannah Energy Systems Project) ....... A1/A+ 514,605
Idaho (0.4%)
955,000 Idaho Student Loan Series 1992-B, 6.00% due 4/1/00 .................................... NR/NR 963,585
Illinois (3.9%)
1,930,000 Bedford Park Tax Increment Revenue Refunding Series 1993, 8.00% due 12/1/10 ........... NR/BBB- 2,281,299
300,000 Central Lake County Joint Action Water Agency Series 1991, 0% due 5/1/05
(Insured: MBIA) ....................................................................... Aaa/AAA 196,554
500,000 Illinois Development Financing Authority, 7.125% due 3/15/07
(Children's Home & Aid Society Project; LOC: American National Bank of Chicago) ....... NR/A+ 535,250
2,400,000 Illinois Development Financing Authority Debt Restructuring Revenue Series 1994,
7.25% due 11/15/09 (East St. Louis Project) ........................................... NR/A- 2,608,656
500,000 Illinois HFA Revenue Refunding Series 1992, 7.00% due 1/1/07 (Mercy Hospital Project) . Baa1/A- 530,875
1,000,000 Illinois HFA Revenue Refunding Series 1992, 7.00% due 7/1/02
(Trinity Medical Center Project) ...................................................... Baa1/NR 1,025,060
1,000,000 Illinois Educational Facilities Authority, 3.40% due 12/1/25, put 4/7/97
weekly demand notes(LOC First National Bank, Chicago) ................................. A1/VM1g1 1,000,000
1,525,000 Illinois State University Auxiliary Facilities System Revenue Series 1992,
0% due 10/1/01 (Insured: MBIA) ........................................................ Aaa/AAA 1,226,481
710,000 McHenry County School District Woodstock General Obligation, 6.80% due 1/1/06
(insured; FSA) ........................................................................ Aaa/NR 780,588
385,000 Rock Island Residential Mortgage Revenue, 7.70% due 9/1/08 ............................ Aa/NR 409,097
Indiana (3.4%)
665,000 Danville Community Elementary School Building Corporation, 6.75% due 1/15/04 .......... NR/A 726,539
1,000,000 Gary Building Corporation - Lake County First Mortgage Series 1994-B,
8.25% due 7/1/10 (Sears Building Project) ............................................. NR/NR 1,102,540
255,000 Hamilton Heights Refunding Revenue, 6.60% due 1/1/08 .................................. NR/A 278,450
2,600,000 Hamilton Southeastern North Delaware School Building, 6.25% due 7/15/06
(Insured; AMBAC) ...................................................................... Aaa/AAA 2,798,848
700,000 Indiana Bond Bank Special Program Series 1991-F, 7.00% due 8/1/07 ..................... NR/A 759,045
740,000 Indianapolis Local Public Improvement Bond Bank, 0% due 7/1/09 ........................ Aa/AA- 374,840
1,195,000 Lake Central Multi District School Building Mortgage Revenue Series 1992-B, 6.25%
due 1/15/04 NR/A 1,293,587
645,000 North Lawrence Multi School Building Corp Revenue, 6.30% due 7/1/03 ......................... A/NR 682,739
1,000,000 Penn High School Building Corporation Series 1992, 6.00% due 6/15/03 .................. NR/A 1,043,490
Iowa (1.0%)
2,600,000 Iowa State Department General Services Certificate of Participation Series 1992,
6.50% due 7/1/06 (Insured: AMBAC) ..................................................... Aaa/AAA 2,794,246
Kentucky (3.4%)
1,000,000 Erlanger Kentucky Improvement Assessment, 7.375% due 8/1/10
(Public Improvement '93 Project; LOC: PNC Bank of Ohio) ............................... NR/NR 1,047,970
2,160,000 Fulton County Industrial Building Revenue Series 1995, 7.20% due 2/1/03
(H.I.S. Jeans of Kentucky Project; Guarantee: CHIC by H.I.S.) ......................... NR/NR 2,195,467
2,520,000 Fulton County Industrial Building Revenue Series 1995, 7.60% due 2/1/07
(H.I.S. Jeans of Kentucky Project; Guarantee: CHIC by H.I.S.) ......................... NR/NR 2,565,637
1,665,000 Hickman Industrial Building Revenue, 6.95% due 8/1/09 (H.I.S. Jeans of Kentucky Project) NR/NR 1,690,558
605,000 Mt. Sterling League of Cities Funding Trust Lease Series A, 5.625% due 3/1/03
(Investment Agreement w/ Transamerica Life; Guaranteed: Health Management Assoc.) ..... Aa/NR 613,313
1,120,000 Paintsville First Mortgage Revenue Refunding Series 1991, 8.65% due 9/1/05
(Paul B. Hall Medical Center Project) ................................................. NR/NR 1,194,122
Louisiana (3.1%)
475,000 Calcasieu Parish Industrial Development Board Pollution Control Revenue, 7.80%
due 12/1/05 (Cities Service Corporation Project) ...................................... Baa3/BBB 476,686
44,690 East Baton Rouge Mortgage Financing Authority Purchase Revenue, 8.25% due 2/25/11
(GNMA guaranteed) ..................................................................... NR/AAA 46,455
7,500,000 Louisiana Public Facilities Authority Revenue Refinancing, 8.00% due 10/1/09
(Schwegman Westside Expressway Project) ............................................... NR/NR 7,892,100
854,456 Ohio Industrial Development Revenue Series 92, 8.125% due 12/1/06
(Swifton Commons Project; LOC: Chemical Bank) ......................................... NR/NR 741,181
760,000 Reynoldsburg Health Care Facilities Revenue Bonds Series 1997, 5.70% due 10/20/12 ..... Aaa/NR 752,636
Oklahoma (1.3%)
155,000 Pryor Creek EDA Mortgage Revenue Refunding Series 1991-A, 6.625% due 7/1/01
(FNMA guaranteed) ..................................................................... NR/AAA 161,572
785,000 Pushmatahah County Town of Antlers Hospital Authority Revenue Series 1991, 8.75%
due 6/1/06 ............................................................................ NR/NR 844,432
1,485,000 Tulsa Oklahoma Industrial Development Authority Hospital Revenue, 6.10%
due 2/15/09 (Medical Center Project) .................................................. Aa/ AA 1,509,265
500,000 Tulsa Public Facilities Authority Solid Waste Revenue, 5.65% due 11/1/06
(Ogden Martin Project; Insured: AMBAC) ................................................ Aaa/AAA 504,020
500,000 Woodward Municipal Hospital Authority Revenue Series 1994, 8.25% due 11/1/09 .......... NR/NR 538,290
Oregon (2.0%)
1,025,000 Albany Hospital Facility Authority Gross Revenue and Refunding Series 1994, 7.00%
due 10/1/05 (Mennonite Home Project) .................................................. NR/NR 1,053,557
900,000 Oregon Economic Development Department Revenue Series CLII, 6.70%
due 12/1/98 (Smokecraft Project; LOC: Seafirst Bank) .................................. Aa3/NR 929,772
1,200,000 Oregon Economic Development Department Revenue Series CLII, 7.00%
due 12/1/02 (Smokecraft Project; LOC: Seafirst Bank) .................................. Aa3/NR 1,257,972
1,070,000 Oregon Economic Development Department Revenue Series CLII, 7.70%
due 12/1/14 (Smokecraft Project; LOC: Seafirst Bank) .................................. Aa3/NR 1,179,654
1,000,000 Port of Portland Industrial Revenue Series 85, 7.25% due 10/1/09
(Ash Grove Cement Project) ............................................................ NR/NR 1,049,040
Pennsylvania (6.3%)
500,000 Allegheny County Redevelopment Auth Rev Rfdg Home Loan, 6.60% due 8/1/98 .............. A/A 509,465
1,880,000 Beaver County Hospital Revenue, 6.60% due 7/1/04 (Insured; AMBAC) ..................... Aaa/AAA 2,038,033
1,985,000 Beaver County Industrial Development Authority Health Revenue, 0% due 2/1/10
(Insured: FHA) ........................................................................ NR/AA- 736,772
270,000 Hampden Industrial Development Authority Partnership Holdings LLC Project, 4.50%
due 11/15/98 .......................................................................... Baa2/NR 261,795
2,800,000 Harrisburg Authority Lease Revenue Series 1991, 6.50% due 6/1/04
(Insured: Capital Guaranty) crossover refunded 6/1/01 @ 101 ........................... Aaa/AAA 3,008,264
800,000 Harrisburg Authority Lease Revenue Series 1991, 6.625% due 6/1/06
(Insured: Capital Guaranty) crossover refunded 6/1/01 @ 101 ........................... Aaa/AAA 863,088
815,000 Hempfield School District General Obligation, 6.40% due 10/15/97 ...................... A1/AAA* 817,029
2,000,000 Lancaster County Solid Waste, 8.375% due 12/15/04 ..................................... A/BBB 2,083,080
2,000,000 Lehigh County General Purpose Authority Revenue, 7.80% due 3/15/20,
put 3/15/02 (Muhlenberg Care Project; LOC: United Jersey Bank) ........................ NR/NR 2,178,520
750,000 Lehigh County General Purpose Rev, 5.10% due 11/15/03
(St. Lukes Hospital, Bethlehem Project; Insured: AMBAC) ............................... Aaa/AAA 751,628
596,748 Lehigh County Industrial Development Authority Revenue, 7.45% due 8/1/01
(Kresge Company Project) .............................................................. A3/NR 597,004
800,000 McKeesport Area School District Series B, 0% due 10/1/04 .............................. NR/A 546,344
985,000 Philadelphia Water and Sewer Revenue 10th Series, 7.35% due 9/1/04
(Escrowed to Maturity) ................................................................ Aaa/AAA 1,112,144
750,000 Pine-Richland School District, 0% pre-refunded 9/01/01 (Insured: AMBAC) ............... Aaa/AAA 552,015
1,000,000 Scranton Lackawanna Health and Welfare Authority, 7.125% due 1/15/13 .................. NR/NR 987,000
200,000 York County Solid Waste Refuse Authority Industrial Development Revenue
Series 1985, 7.40% due 12/1/99 (Resource Recovery Project) ............................ A/AA- 208,218
Rhode Island (1.5%)
595,000 Pawtucket Public Building Authority Water System Project Revenue, 7.45% due 7/1/05 .... Baa1/NR 665,853
680,000 Providence Public Building Authority Revenue, 7.10% due 12/1/03
(Veazie Street School and Modular Classroom Project) .................................. Baa1/NR 753,603
1,500,000 Rhode Island Housing and Mortgage Finance Rental Housing Program
Series A, 5.05% due 10/1/01 ........................................................... NR/A 1,501,260
355,000 Rhode Island Health and Education Building Corporation Series 1991,
7.10% due 11/1/02 (South County Hospital Project) ..................................... NR/BBB+ 390,088
720,000 West Warwick General Obligation, 5.90% due 1/1/05 (Insured: MBIA) ..................... Aaa/AAA 745,582
South Carolin (0.5%)
665,000 Florence County Certificate of Participation Series 1992, 4.90% due 3/1/98
(Law Enforcement Center Project; Insured: AMBAC) ...................................... Aaa/AAA 671,464
615,000 Liberty Sewer Revenue, 8.25% due 8/1/07 ............................................... NR/NR 632,786
South Dakota (1.3%)
1,000,000 South Dakota Housing Development Authority Home Ownership Mortgage Series
1993-A, 5.20% due 5/1/02 .............................................................. Aa/AA 1,010,980
1,925,000 South Dakota Student Loan Revenue, 7.625% due 8/1/06 (Insured: MBIA) .................. Aaa/AAA 2,033,666
500,000 South Dakota Student Loan Series 1991-A, 7.60% due 8/1/04 ............................. NR/A+ 539,005
Tennessee (0.6%)
395,000 Carroll County Industrial Development Resoure, 7.00% due 4/1/01
(Henry I Siegel Company Project; LOC: CHIC By H.I.S) .................................. NR/NR 393,120
900,000 Carrol County Industrial Development Board Refunding Revenue Series 1995, 7.20%
due 4/1/05 (Henry I. Seigel Company Project; LOC: CHIC by H.I.S.) ..................... NR/BBB 910,845
200,000 Copperhill Industrial Development Board, 7.80% due 12/1/00 (Cities Service Co. Project) Baa3/BBB 200,556
Texas (7.9%)
440,000 Austin General Obligation Public Improvement, 7.60% due 9/1/97 ........................ Aaa/AAA 441,360
2,925,000 Bell County Health Facilities Development, 4.75% due 10/1/23, put 10/1/98 ............. NR/AA 2,935,062
3,295,000 Brazos Higher Education Authority Refunding Revenue Series C-1, 6.20% due 11/1/00 ..... Aa/NR 3,412,599
1,400,000 Brazos Higher Education Authority Refunding Revenue Series B-1, 6.50% due 6/1/04 ...... NR/A 1,459,990
135,000 Chimney Hill Municipal Utility District Waterworks and Sewer System Combination
Unlimited Tax and Revenue Refunding Series 1991, 7.75% due 10/1/11 .................... NR/NR 147,737
865,000 Chimney Hill Municipal Utility District Waterworks and Sewer System Combination
Unlimited Tax and Revenue Refunding Series 1991, 7.75% due 10/1/11 .................... NR/NR 926,008
750,000 Clay Road Municipal Utility District Unlimited Tax and Revenue Series 1991,
7.625% due 9/1/11 ..................................................................... NR/NR 816,240
1,000,000 Conroe Independent School District Refunding Series 1992, 0% due 2/1/05
(PSF Guaranteed) ...................................................................... Aaa/AAA 665,050
1,000,000 Conroe Independent School District Refunding Series 1992, 0% due 2/1/05
(PSF Guaranteed) ...................................................................... Aaa/AAA 650,480
250,000 Dallas County Flood Control District #1 General Obligation, 0% due 4/1/97 ............. NR/NR 250,000
400,000 Dallas - Fort Worth Regional Airport Revenue Series A -CR-103,
5.875% due 11/1/05, put 5/1/98 (Insured: FGIC) ........................................ Aaa/AAA 402,956
460,000 El Paso Multi Family Housing Revenue Series A, 6.00% due 12/1/01 ...................... A1/NR 471,974
590,000 El Paso Multi Family Housing Revenue Series A, 6.15% due 12/1/02 ...................... A1/NR 608,255
570,000 Harris County Municipal Utility District #118 Unlimited Tax and Revenue Refunding
Series 1992, 0% due 3/1/04 (Insured: MBIA) ............................................ Aaa/AAA 372,147
525,000 Harris County Municipal Utility District #118 Unlimited Tax and Revenue Refunding
Series 1992, 0% due 3/1/05 (Insured: MBIA) ............................................ Aaa/AAA 319,825
880,000 Houston Water Conveyance System Contract Certificate of Participation Series F,
7.20% due 12/15/04 (Insured: AMBAC) ................................................... Aaa/AAA 998,483
465,000 Hunt Memorial Hospital District, 0% due 2/15/01 ....................................... A/A 373,762
2,000,000 Leander Independent School District Unlimited Tax School Building & Refunding
Series 1992, 0% due 8/15/05 (PSF Guaranteed) .......................................... Aaa/NR 1,356,920
800,000 Mesquite General Obligation, 0% due 2/15/02 ........................................... A1/A+ 630,408
800,000 Midland County Hospital District Revenue Series 1991, 0% due 6/1/07 ................... NR/BBB 425,392
500,000 North Texas Higher Educational Student Loan Revenue, 6.50% due 4/1/98 (Insured: AMBAC) Aaa/AAA 511,895
420,000 San Antonio General Obligation, 5.00% due 8/1/00 ...................................... Aa/AA 417,778
715,000 Tarrant County Health Fac, 6.00% due 9/1/04
(Harris Methodist Health Systems Project; Insured: AMBAC) ............................. Aaa/AAA 753,388
1,495,000 Texas Water Resource Financing Authority Revenue, 7.30% due 2/15/04
(Insured: AMBAC) ...................................................................... Aaa/AAA 1,560,944
500,000 Trinity River Auth Interim Water Rev, 5.75% due 10/15/00 (Livingston Project) ......... A1/A+ 500,370
400,000 Trinity Texas Housing Finance Corporation Multifamily Housing Revenue, 10.00%
due 6/1/98 (Timberline Apartments Project) ............................................ NR/NR 400,000
U.S. Virgin I (1.2%)
3,000,000 U.S. Virgin Islands Water & Power Authority Series A, 7.40% due 7/1/11 ................ NR/NR 3,177,420
Utah (1.6%)
2,000,000 Intermountain Power Agency Revenue, 0% pre-refunded 7/1/00 ............................ Aaa/AAA 1,718,080
2,500,000 Salt Lake County Housing Authority Multifamily Housing Revenue Refunding
Series 1993, 5.40% due 12/15/18, put 12/15/03 (Summertree Project;
LOC: First Security Bank) ............................................................. A1/NR 2,547,625
394,997 Utah State Housing Financing Agency Capital Appreciation Res. Mortgage Series 83-A,
0% due 7/1/16 ......................................................................... NR/AA 55,489
Virginia (3.5%)
2,000,000 Hampton Redevelopment Housing Authority Multifamily Housing Revenue & Refunding
Series 1994, 7.00% due 7/1/24, mandatory put 7/1/04 (Chase Hampton II Apts. Project) .. NR/NR 2,137,720
320,000 Peninsula Ports Authority Hospital Revenue, 8.00% due 8/1/99
(Mary Immaculate Hospital Project) .................................................... NR/A- 342,266
2,000,000 Suffolk Redevelopment Housing Authority Multifamily Housing Revenue & Refunding
Series 1994, 7.00% due 7/1/24, mandatory put 7/1/04 (Chase Heritage @ Dulles Project) . NR/NR 2,124,380
665,000 Virginia Beach General Obligation, 5.90% due 7/15/08 .................................. Aa/AA 690,104
1,030,000 Virginia State Housing Development Authority Series C-7, 5.40% due 1/1/01 ............. Aa/AA+ 1,050,827
1,000,000 Virginia State Housing Development Authority Series H-1, 6.60% due 7/1/08 ............. Aa/AA+ 1,054,250
1,000,000 Virginia Housing Dev. Auth. Commonwealth Mortgage Series 1992-C, 6.75% due 7/1/11 ..... Aa/AA 1,041,010
1,000,000 Virginia Public School Authority, 6.80% due 1/15/05 pre-refunded 1/15/99
(School Funding Project) .............................................................. Aaa/AAA 1,056,770
Washington (2.4%)
1,000,000 Bremerton Water & Sewer Improvement Revenue Series B, 6.00% due 9/1/03
(Insured: FGIC) ....................................................................... Aaa/AAA 1,061,590
1,100,000 Clark County Industrial Revenue Solid Waste Transfer Stations Series 1991, 7.50%
due 12/15/06 (Columbia Resource Company Project; LOC: U.S. Bank of Oregon) ............ A1/NR 1,185,261
1,500,000 Pilchuck Development Public Corporation IDRB Series 1993,
6.25% due 8/1/10 (Little Neck Properties Project; LOC: U.S. Bancorp) .................. A1/NR 1,524,090
790,000 Port of Grays Harbor Revenue Refunding, 6.05% due 12/1/02 ............................. A/BBB+ 825,479
400,000 Washington Health Care Facilities Authority Revenue, 7.875% due 12/1/09
(LOC: Allied Irish Banks) ............................................................. NR/A 432,948
1,000,000 Washington Health Care Facilities Authority Pooled Equipment Series 1992-B,
7.20% due 6/1/02 (Kadlec Medical Center Project) ...................................... Baa1/NR 1,054,520
400,000 Washington Public Power Supply System Series 1991-A, 6.75% due 7/1/05 (Project: 1) .... Aa/AA 433,108
West Virginia (1.9%)
2,000,000 West Virginia Sate Building Commission Lottery Revenue, 5.50% due 7/1/05
(Insured MBIA) 2,057,220
3,100,000 West Virginia Parkways Economic Development and Tourism Authority Parkway
Revenue Refunding, 6.13% (variable rate) due 5/15/02 (Insured: FGIC) .................. Aaa/AAA 2,965,274
Wisconsin (0.8%)
375,000 Bass Lake PCRB, 6.50% due 4/1/05 (Johnson Timber Corp. Project; SBA Guaranteed) ....... Aaa*/AAA* 406,421
735,000 Wisconsin Housing & Economic Development Authority Series C, 7.55% due 9/1/97
(LOC: FHA/ GEMIC Mortgage) ............................................................ Aa/AA 740,579
1,000,000 Wisconsin Health & Education, 7.75% due 11/1/15 (Hess Memorial Hospital Project) ...... NR/NR 987,609
TOTAL INVESTMENTS (Cost $260,168,983) $270,351,409
<FN>
* Indicates rating on other debt issued by the same issuer, rather than on
the security held by the Fund. These securities are deemed by the Adviser to
be comparable with those of issuers having debt ratings in the 4 highest grades
by Moody's or S &P.
** The cost for Federal income tax purposes is the same.
+ Credit ratings are unaudited.
See notes to financial statements.
</FN>
</TABLE>
Thornburg Family of Funds
Thornburg Limited Term Municipal Fund - National Portfolio
LTMFX is an open end mutual fund which invests in a laddered portfolio of
municipal obligations from throughout the U.S. The Fund has an average
maturity of 5 years or less.
Thornburg Limited Term Municipal Fund - California Portfolio
LTCAX, a single state companion portfolio to LTMFX, offers California
investors double tax-free** yields in a laddered, short maturity portfolio.
The Fund has an average maturity of 5 years or less.
Thornburg Intermediate Municipal Fund.
THIMX is an open end mutual fund which invests in a laddered portfolio of
municipal obligations from throughout the U.S. The Fund has an
average maturity of 10 years or less.
Thornburg Florida Intermediate Municipal Fund
Thornburg Florida Intermediate Fund, a single state companion fund to THIMX,
offers Florida investors a balanced approach to double tax-free**
yields. The Fund has an average maturity of 10 years or less.
Thornburg New Mexico Intermediate Municipal Fund
THNMX, a single state companion fund to THIMX, offers New Mexico investors a
balanced approach to double tax-free**
yields. The Fund has an average maturity of 10 years or less.
Thornburg Limited
Term U.S. Government Fund LTUSX is an open end mutual fund which invests in
short to intermediate obligations issued by the U.S. Government, its agencies or
instrumentalities***. It has an average maturity of 5 years or less. It is
particularly suitable for your IRA, Keogh Plan, Pension Plan, or Profit Sharing
Plan.
Thornburg Limited Term Income Fund THIFX is an open end mutual fund which
invests in a wide variety of taxable, investment grade, short to intermediate
obligations. The Fund keeps a weighted average maturity of 5 years or less. It
is also suitable for your IRA, Keogh Plan, Pension Plan, or Profit Sharing Plan.
Thornburg Value Fund A mutual fund that invests primarily in domestic equities
selected on a compelling value basis using traditional fundamental research
evaluation methods.
